Preheat the oven to 350°F.
Split the pumpkin in half, and scrape out the seeds and fibers. Place the pumpkin halves, flesh side down, in a roasting pan lined with parchment or Silpat. Pour in ½ cup water and bake 1½ hours, until the skin is deeply browned and flesh tender when pierced with a knife. Remove from oven and let rest until cool enough to handle. Scoop out the flesh, discarding the skin.
Put the bacon in a cold heavy pot, and cook over medium-low heat until it is deeply browned and crisp. Using a slotted spoon, remove the browned bacon pieces. In the fat remaining in the pot, sauté the onion, shallots, leek, and garlic over medium-high heat, stirring often, for 5 minutes. Add the thyme, bay leaf, salt, pepper, nutmeg, and pumpkin. Stir well, and sauté 5 minutes longer, stirring often, and taking care not to burn the vegetables. Add the chicken stock, bring to a simmer, and cook, stirring occasionally, for 20 minutes.
Remove the bay leaf from the pot, and purée the soup in a blender or food processor until perfectly smooth. Return the soup to the Dutch oven, and bring to a simmer. Add the sherry, and simmer gently for 3–5 minutes. Add the cream if desired, and heat through. Taste very carefully for seasoning, and add more salt, pepper, or nutmeg as needed. Serve with fresh gratings of nutmeg and grindings of pepper over the soup, and sprinkle on the reserved bacon pieces. Serve as is or add more cream, using as much as you like, or with semi-ripened cheese added to the dish.